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Keyword: covariance matrix estimation;

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Econometrics Paper

ROBUST COVARIANCE MATRIX ESTIMATION: 'HAC' Estimates with Long Memory/Antipersistence Correction

Peter M Robinson

Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibl...Read more...

March 2004

Econometrics Paper

Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)

Javier Hidalgo

This paper provides limit theorems for special density matrix estimators and functionals of it for a bivariate co variance stationary process whose spectral density matrix has singularities not only at the origin but pos...Read more...

February 1996